Around 3:32 – the backtest of the long only strat doesn't look riskier / Sharp ratio is ever bigger, meaning that the risk adjusted gains are better. What am I missing here?
True, the Sharpe ratio of long only strategy is higher than long-short strategy, so risk-adjusted gains are better. But as we are taking only long positions in the strategy, the risk is more evident and higher in the scenario where the market is falling.